You've got to be in the mood for them, but Johnnie To's Election and Election 2 are a good watch. They're sorta like The Godfather, if you switch Italians with Chinese, and add in a bit of wacky asian film making -

Trainspotting shoulda had subtitles. Shit, maybe it did. What's up with the Scotts?

I heard that Trainspotting was given subtitles when it was shown in US cinemas, that and Braveheart too. May just be an urban myth though. I actually saw Trainspotting when I was on a visit to France when I was about 19, and it was shown in English there. It remains to this day the only film I've watched in a cinema in a foreign country.

As for my favourite subtitled foreign movie, I'd say Ip Man. Didn't like the second one as much but it was still good.